summary of all factors¶

adjskew:将两边尾部5%的值用中位数替代

skew_1 adjskew_1 distance_1 mom6x3_1 mom9x3_1 mom12x3_1 mom1M_1 mom2M_1 mom3M_1 mom6M_1 turnover3M_1 amount3M_1 stddev_diff_1
raw ic.mean -0.0221 -0.0253 0.0019 0.0014 0.0075 0.0094 -0.0411 -0.0500 -0.0444 -0.0328 -0.0485 -0.0418 -0.0083
ic.t-stats -4.6047 -5.5252 0.1708 0.1712 0.8137 0.9869 -4.4534 -4.6708 -4.2507 -3.0464 -4.4609 -4.6764 -1.5336
ind_neu ic.mean -0.0220 -0.0253 0.0089 -0.0008 0.0019 0.0015 -0.0488 -0.0542 -0.0494 -0.0380 -0.0501 -0.0418 -0.0094
ic.t-stats -5.2507 -6.3402 0.8837 -0.1261 0.2657 0.2069 -6.2575 -5.9902 -5.4942 -4.2067 -5.5391 -5.4202 -2.0941

details of mom3M¶

收益曲线和表格指标,均是针对超额收益,benchmark用的是equal weighted